Prediction Uncertainty in the Bornhuetter-Ferguson Claims Reserving Method: Revisited

D. H. Alai, M. Merz and M. V. Wüthrich

Annals of Actuarial Science, 2011, vol. 5, issue 1, 7-17

Abstract: We revisit the stochastic model of Alai et al. (2009) for the Bornhuetter-Ferguson claims reserving method, Bornhuetter & Ferguson (1972). We derive an estimator of its conditional mean square error of prediction (MSEP) using an approach that is based on generalized linear models and maximum likelihood estimators for the model parameters. This approach leads to simple formulas, which can easily be implemented in a spreadsheet.

Date: 2011
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